The figures below serve as a proof-of-concept for Judge Research's software stack. Using our software, we developed a BTC long-short systematic strategy with average hold times between 15 minutes and 1 hour. All of the data you see below comes from after the strategy was built.
We are currenlty working on the code to execute this strategy live with test capital.
Check back here to see the findings as they come in.
Start 2022-10-28 00:15:00 End 2022-11-10 02:15:00 Duration 13 days 02:00:00 Exposure Time [%] 5.807478 Equity Final [$] 10358287.8341 Equity Peak [$] 10520253.6164 Return [%] 3.582878 Buy & Hold Return [%] -20.325127 Return (Ann.) [%] 171.317369 Volatility (Ann.) [%] 70.944329 Sharpe Ratio 2.414814 Sortino Ratio 23.421961 Calmar Ratio 42.341321 Max. Drawdown [%] -4.046104 Avg. Drawdown [%] -1.391073 Max. Drawdown Duration 11 days 01:15:00 Avg. Drawdown Duration 2 days 09:21:00 # Trades 16 Win Rate [%] 43.75 Best Trade [%] 4.137963 Worst Trade [%] -2.928017 Avg. Trade [%] 0.215208 Max. Trade Duration 0 days 01:00:00 Avg. Trade Duration 0 days 00:58:00 Profit Factor 1.45253 Expectancy [%] 0.229859 SQN 0.485317 _strategy fc_thresh _equity_curve ... _trades Size EntryB... dtype: object